ECON 518 - Econometrics

Review of the traditional methodology of the general linear model. Maximum-likelihood estimation with applications in limited-dependent variable models, switching regression models, ARCH models, etc. Time-series modeling. Dynamic modeling: the general to specific methodology. Non-stationarity and cointegration. Vector autoregression. Exogeneity and structural invariance. Rational expectations. State-space models and the Kalman filter.
Prerequisites
Prerequisites: ECON 418.
When Offered
Offered in fall.
(3 cr.)

AUC New Cairo Campus

AUC Tahrir Square Campus

New York

ECON 518 - Econometrics